Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0956 |
| Annualized Std Dev | 0.9187 |
| Annualized Sharpe (Rf=0%) | -0.1041 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3496.0000 |
| NAs | 1.0000 |
| Minimum | -0.6500 |
| Quartile 1 | -0.0137 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0010 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0137 |
| Maximum | 1.8857 |
| SE Mean | 0.0010 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0029 |
| Variance | 0.0033 |
| Stdev | 0.0579 |
| Skewness | 12.1011 |
| Kurtosis | 375.6490 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0310 |
| Gain Deviation | 0.0704 |
| Loss Deviation | 0.0391 |
| Downside Deviation (MAR=210%) | 0.0342 |
| Downside Deviation (Rf=0%) | 0.0307 |
| Downside Deviation (0%) | 0.0307 |
| Maximum Drawdown | 0.9769 |
| Historical VaR (95%) | -0.0521 |
| Historical ES (95%) | -0.0928 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-13 | 2008-12-09 | NA | -0.9769 | 3403 | 1908 | NA |
| 2000-01-04 | 2000-01-28 | 2000-03-03 | -0.1727 | 42 | 18 | 24 |
| 1999-12-14 | 1999-12-20 | 1999-12-27 | -0.0754 | 9 | 5 | 4 |
| 1999-11-29 | 1999-12-02 | 1999-12-09 | -0.0412 | 9 | 4 | 5 |
| 1999-10-28 | 1999-10-28 | 1999-10-29 | -0.0312 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | 0 | -1.4 | -2 |
| 2000 | -1.1 | 2.4 | -0.5 | 3.6 | 7.1 | 0 | -3.5 | 1.3 | -2.1 | -2.5 | 9.5 | 0 | 14.2 |
| 2001 | -2.5 | -0.2 | -6.7 | 0.7 | -1 | -3.9 | 0.3 | 4.5 | 1 | 1.6 | 0 | -2.2 | -8.6 |
| 2002 | 1.2 | 5.1 | 0 | 0.4 | 1.7 | -0.4 | 7.1 | 2.8 | 0 | 0 | -2.4 | -1.4 | 14.7 |
| 2003 | 2.9 | 0 | 1 | -3 | 0.4 | 1.9 | -3.5 | 0.5 | 0.5 | -0.8 | -1.2 | -2.8 | -4.4 |
| 2004 | -3.5 | 1.7 | -1.7 | -0.4 | 1.9 | -2.3 | 0 | 0 | -0.5 | 2.3 | -0.9 | 0 | -3.6 |
| 2005 | 0 | -0.5 | -3.1 | 0 | 0 | -1.8 | 2.3 | 0 | -1 | -1 | 2 | 0 | -3.3 |
| 2006 | -0.5 | 0 | 1.3 | 4 | 0 | 0.9 | -2.3 | 0 | 2.2 | -2.5 | 0.8 | 0.4 | 4.4 |
| 2007 | 0 | -5 | -1.2 | -0.4 | -1.9 | -1.1 | -2.9 | 1.9 | 1.4 | 0 | -3.9 | 3.9 | -9.2 |
| 2008 | -8.3 | -4.1 | -2.4 | -3.5 | -6.7 | 0 | 0 | 4.5 | 0 | -34 | -13.3 | 0 | -53.8 |
| 2009 | 1.4 | 5.3 | -12.3 | 5.7 | 0 | 0 | 11 | 0 | 0.9 | 0 | 0 | 7.4 | 19.1 |
| 2010 | 1 | -1.9 | 0.9 | 2.7 | 6.7 | 0.9 | -2 | 5.2 | -1.9 | 4.8 | 0 | 1.9 | 19.3 |
| 2011 | 2.5 | -1.7 | -0.9 | -3.3 | 0 | 0 | 3.3 | -4.2 | -3.2 | 1.5 | 0.8 | 0.8 | -4.5 |
| 2012 | 0 | 1.4 | 0 | 3.9 | 0 | 0.7 | 0 | -1.3 | 3.2 | -2.6 | -2.7 | 0 | 2.4 |
| 2013 | 0.7 | 4.6 | -0.6 | 0.6 | -1.8 | 2.5 | 1.2 | 1.3 | 0 | 1.7 | 0 | -26.4 | -18.7 |
| 2014 | 0 | 2.9 | -2.1 | 3.2 | -2.6 | 1.1 | 0 | 0 | -5.3 | 0 | 0.3 | -1.1 | -3.9 |
| 2015 | 0 | 0 | -1.6 | 0 | 0 | 0.5 | 1.7 | -0.6 | -0.6 | -0.6 | 1.8 | -3 | -2.6 |
| 2016 | 0 | 1.1 | 3.1 | -3 | -1.1 | -1.3 | 0 | 1.2 | -6.2 | 0 | 0 | -4.3 | -10.4 |
| 2017 | 0 | 0 | 0 | 3.8 | 0 | 1.1 | -2.1 | 1.8 | 0.5 | 1 | -6.8 | -2.3 | -3.4 |
| 2018 | 3.2 | 0 | 0 | -0.9 | 4.7 | 0 | 0.5 | 0.5 | 0.5 | 0 | 0 | 5.9 | 14.8 |
| 2019 | 1.1 | -5 | -1.4 | 1.4 | 0.5 | 1 | -1.4 | -0.4 | -3.8 | 2.4 | 0.5 | -0.9 | -6.3 |
| 2020 | 0 | -3.1 | -10.5 | 7.1 | -0.6 | 1.6 | -3.5 | -2.5 | 0 | -5.7 | -2.9 | 0 | -19.3 |
| 2021 | 4.5 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
# tidytable [6 × 5]
datadate Close spy gld rel
<date> <dbl> <dbl> <dbl> <dbl>
1 1999-10-26 10 128. NA 10
2 1999-10-27 10 130. NA 9.82
3 1999-10-28 9.69 135. NA 9.20
4 1999-10-29 10 137 NA 9.33
5 1999-11-01 9.94 136. NA 9.37
6 1999-11-02 9.88 135. NA 9.38Row
Rolling Performance Chart
Row
Snail Trail Chart
